Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5b26053023939d4449c3341f')
bt.create_full_tear_sheet(round_trips = True)
100% Time: 0:00:19|###########################################################|
Start date2015-01-06
End date2017-11-06
Total months34
Backtest
Annual return 13.2%
Cumulative returns 42.1%
Annual volatility 9.8%
Sharpe ratio 1.32
Calmar ratio 0.92
Stability 0.66
Max drawdown -14.3%
Omega ratio 1.25
Sortino ratio 1.98
Skew 0.00
Kurtosis 2.17
Tail ratio 1.09
Daily value at risk -1.2%
Gross leverage 1.00
Daily turnover 11.4%
Alpha 0.12
Beta 0.04
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 14.26 2015-08-10 2016-03-21 2017-01-31 387
1 5.45 2017-07-28 2017-08-24 2017-11-01 69
2 4.31 2015-02-20 2015-03-10 2015-03-27 26
3 4.25 2017-03-17 2017-05-10 2017-06-05 57
4 3.21 2017-01-31 2017-02-23 2017-03-14 31
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile
  RuntimeWarning)
Stress Events mean min max
Fall2015 -0.03% -1.90% 2.37%
New Normal 0.05% -2.42% 2.76%
Top 10 long positions of all time max
SRPT-16999 5.19%
PBYI-42689 4.34%
JUNO-48317 4.05%
ICPT-43505 4.03%
CPE-12011 4.02%
DEPO-18010 4.02%
ALNY-26335 4.01%
HRTX-22651 3.95%
IMGN-3885 3.94%
ELGX-23769 3.93%
Top 10 short positions of all time max
ZIOP-31341 -4.13%
PACB-40319 -4.01%
EPZM-44830 -3.99%
SGMO-21447 -3.89%
LXRX-21413 -3.89%
KITE-47169 -3.88%
MNKD-26524 -3.87%
CLDX-19187 -3.87%
ALDR-46869 -3.85%
IDRA-14255 -3.85%
Top 10 positions of all time max
SRPT-16999 5.19%
PBYI-42689 4.34%
ZIOP-31341 4.13%
JUNO-48317 4.05%
ICPT-43505 4.03%
CPE-12011 4.02%
DEPO-18010 4.02%
ALNY-26335 4.01%
PACB-40319 4.01%
EPZM-44830 3.99%
All positions ever held max
SRPT-16999 5.19%
PBYI-42689 4.34%
ZIOP-31341 4.13%
JUNO-48317 4.05%
ICPT-43505 4.03%
CPE-12011 4.02%
DEPO-18010 4.02%
ALNY-26335 4.01%
PACB-40319 4.01%
EPZM-44830 3.99%
HRTX-22651 3.95%
IMGN-3885 3.94%
ELGX-23769 3.93%
BLUE-44935 3.90%
EGRX-46354 3.89%
EDIT-49736 3.89%
SGMO-21447 3.89%
LXRX-21413 3.89%
HZNP-41766 3.88%
AAC-47842 3.88%
KITE-47169 3.88%
MNKD-26524 3.87%
CLDX-19187 3.87%
FOLD-33949 3.86%
ALDR-46869 3.85%
IDRA-14255 3.85%
AGIO-45143 3.85%
NVCR-49460 3.85%
RMTI-18196 3.84%
ANAC-40442 3.84%
RCAP-44863 3.82%
TECK-31886 3.82%
ATRA-47901 3.82%
CWEI-8941 3.81%
ITCI-46053 3.80%
BNFT-45428 3.80%
OMER-38827 3.80%
SA-26203 3.80%
MLNT-42455 3.79%
NPTN-40807 3.79%
KPTI-45799 3.79%
OCUL-47383 3.79%
SGYP-32331 3.79%
AERI-45733 3.78%
FMI-45499 3.78%
OAS-39797 3.78%
PRTA-43730 3.78%
OTIC-47495 3.78%
RGLS-43472 3.78%
SRNE-33062 3.77%
X-8329 3.77%
XON-45239 3.77%
CLF-1595 3.76%
IG-3835 3.76%
CLVS-42166 3.76%
QURE-46310 3.75%
ESPR-44989 3.75%
RTRX-41663 3.74%
CNX-24758 3.74%
DYAX-21870 3.73%
TROX-40530 3.72%
EXAS-22364 3.72%
ARRY-22192 3.71%
LJPC-11512 3.71%
LPI-42263 3.71%
NVAX-14112 3.70%
OVAS-43478 3.70%
RPTP-21364 3.69%
ACHN-32790 3.69%
CFMS-49211 3.68%
SEDG-48823 3.68%
FMSA-47848 3.68%
NHTC-18595 3.68%
ICON-6856 3.68%
CSLT-46551 3.68%
TMST-47162 3.67%
EXK-33236 3.67%
ADVM-47422 3.67%
TREE-36742 3.66%
FTK-27496 3.66%
CDE-1374 3.66%
TPLM-31903 3.66%
RARE-46285 3.66%
EYES-48113 3.65%
WPX-42251 3.65%
EXEL-21383 3.65%
DVAX-25972 3.65%
PI-50138 3.65%
CALA-47830 3.64%
ANGI-42175 3.64%
ADXS-40992 3.64%
SALT-45996 3.64%
CARA-46283 3.63%
GPRO-47208 3.63%
ARIA-11880 3.63%
RCPT-44689 3.63%
LNTH-49189 3.62%
CYH-21608 3.62%
ASPS-38633 3.62%
MCRB-49195 3.62%
UNT-7806 3.61%
NTLA-49934 3.61%
FPRX-45430 3.61%
RH-43599 3.61%
ADRO-48925 3.60%
BLCM-48304 3.59%
KERX-21789 3.59%
RDUS-46871 3.58%
EROS-45867 3.58%
SAGE-47332 3.58%
RYAM-47128 3.58%
SPPI-24517 3.58%
AXDX-15934 3.57%
LOCK-43467 3.57%
SSRM-15591 3.57%
FEYE-45451 3.56%
HLX-17180 3.56%
IAG-24491 3.55%
MRTX-45080 3.55%
OREX-33742 3.55%
QUOT-46497 3.55%
INSY-44665 3.55%
CENX-14484 3.55%
BRS-5645 3.54%
PVAC-6258 3.53%
AVXS-49751 3.53%
CC-49210 3.53%
ARWR-10417 3.53%
FLXN-46344 3.52%
SCMP-34477 3.51%
GIMO-44892 3.51%
TXMD-28966 3.51%
ECA-23021 3.51%
MACK-42735 3.50%
MSG-49458 3.50%
CSTM-44780 3.50%
ONCE-48547 3.50%
SM-4664 3.49%
GBT-49335 3.49%
MUX-7845 3.48%
MSGN-39171 3.47%
TLRD-7203 3.47%
BCRX-10905 3.47%
TRGP-40547 3.47%
ACIA-33321 3.47%
AXLL-3189 3.46%
AG-40607 3.46%
AMD-351 3.45%
AEGR-40294 3.44%
ENPH-42749 3.44%
ATI-24840 3.44%
ECOM-44779 3.44%
BTG-44884 3.43%
FGEN-48088 3.43%
INFI-21744 3.41%
TUBE-47333 3.41%
VRX-10908 3.41%
AVP-660 3.40%
ASPX-46308 3.40%
HIIQ-44113 3.39%
TTPH-44314 3.38%
CMRX-44453 3.38%
RLYP-45851 3.37%
RDNT-6047 3.35%
AROC-34575 3.35%
AXON-49107 3.35%
SDLP-43539 3.32%
WLL-25707 3.31%
WTW-23269 3.29%
SNCR-32234 3.29%
UNIS-39227 3.23%
CSIQ-32856 3.22%
AKS-10897 3.21%
TTI-7633 3.21%
ENDP-21750 3.18%
NAK-26776 3.17%
IMPV-42131 3.17%
PLUG-20776 3.17%
IONS-4031 3.12%
ARNA-21724 3.09%
NKTR-24572 3.08%
CYBR-47779 3.07%
CHRS-48026 3.07%
OSPN-21457 3.06%
SN-42264 3.04%
WWE-20818 3.02%
PTCT-44955 3.00%
RUN-49321 3.00%
NLNK-42147 2.98%
HDP-48257 2.95%
GRPN-42118 2.95%
WFT-19336 2.94%
LOCO-47382 2.93%
SUNE-13306 2.91%
DNR-15789 2.91%
ATW-624 2.90%
VRNS-46453 2.87%
AUPH-47621 2.85%
CONN-25646 2.82%
CRC-48073 2.82%
NTNX-50338 2.81%
INSM-21778 2.76%
FCX-13197 2.75%
XOMA-8346 2.72%
HPR-26865 2.71%
VNDA-28326 2.66%
TWLO-50077 2.63%
UAA-27822 2.62%
AKAO-46528 2.60%
MDR-4752 2.58%
INO-3150 2.56%
RXDX-44685 2.56%
CZR-42461 2.51%
IMMU-3891 2.50%
HOMB-32302 2.49%
ERII-36518 2.49%
TRUE-46929 2.45%
AAMC-45415 2.42%
RYI-47464 2.41%
OCN-15697 2.40%
FIT-49139 2.36%
DXPE-17196 2.34%
MHR-32541 2.33%
SHLD-26169 2.33%
IPI-36093 2.32%
ECR-47168 2.32%
TGTX-13984 2.29%
MDCA-12800 2.26%
BTE-28232 2.25%
NK-49298 2.23%
PES-22551 2.20%
ADPT-47191 2.20%
NE-5249 2.19%
TRVN-46272 2.19%
IPXL-37849 2.13%
WMB-8214 2.11%
BDSI-23846 2.10%
BLOX-42821 2.07%
LL-35036 2.06%
ANTH-39270 2.03%
CRAY-21374 2.01%
ACRX-40827 1.99%
TELL-4982 1.94%
MGNX-45643 1.93%
PTX-16489 1.93%
TSRO-43124 1.90%
EPE-46191 1.86%
SGRY-49456 1.86%
AGI-44156 1.84%
GNW-26323 1.84%
RUBI-46671 1.83%
ESV-2621 1.82%
FSM-41915 1.81%
SPXC-7086 1.79%
STRP-45130 1.79%
TTD-50288 1.79%
HK-31032 1.79%
CLD-38971 1.78%
GLUU-33566 1.77%
SRCI-35051 1.77%
SD-35006 1.73%
NAV-5199 1.70%
XCO-28083 1.70%
YRCW-8370 1.67%
ZFGN-47165 1.64%
XENT-47373 1.63%
NMBL-46002 1.62%
BCEI-42272 1.60%
SDRL-39495 1.59%
PDCE-5907 1.56%
LC-48220 1.54%
GLNG-24489 1.54%
TK-13289 1.50%
BLDR-27369 1.50%
CRBP-47955 1.48%
VNR-34931 1.48%
SEMG-39358 1.46%
CXRX-46079 1.46%
VSLR-47820 1.43%
RRTS-39628 1.43%
XLRN-45431 1.42%
ZGNX-40461 1.41%
CIE-39073 1.40%
RVNC-46315 1.39%
SGY-9458 1.38%
TGH-34810 1.38%
SXC-41733 1.37%
AAOI-45503 1.36%
RIC-16681 1.30%
PGNX-17908 1.29%
ANW-33014 1.22%
BPT-1068 1.21%
SBLK-28112 1.21%
BTU-22660 1.17%
REN-34800 1.16%
SREV-41142 1.14%
TAHO-39938 1.13%
CTIC-16607 1.12%
ERF-22215 1.12%
TLM-17767 1.12%
SWN-7244 1.11%
CHK-8461 1.08%
KNDI-32972 1.07%
SPWR-27817 1.04%
ABUS-40410 1.04%
OMED-45095 1.04%
PTLA-44770 1.01%
CBI-1287 1.00%
HTZ-50070 0.99%
ONVO-41829 0.98%
AGEN-21104 0.98%
LOXO-47432 0.97%
NPSP-11356 0.96%
CTRL-45212 0.94%
WRLD-8268 0.94%
TERP-47334 0.93%
OPHT-45498 0.92%
OBE-32293 0.92%
SLCA-42436 0.91%
PLSE-49957 0.91%
RJET-26331 0.90%
AXTI-18661 0.90%
GSAT-32819 0.88%
ADMS-46722 0.88%
AKRX-270 0.88%
NADL-46262 0.87%
VRAY-48015 0.86%
NBIX-14972 0.86%
EXXI-34443 0.84%
CLNE-33924 0.84%
ETSY-48934 0.81%
ZU-45866 0.81%
DRYS-26994 0.78%
COLL-49016 0.71%
SAND-43329 0.70%
THC-5343 0.67%
BAS-27886 0.65%
DYN-43462 0.64%
AXAS-677 0.63%
EFII-2460 0.63%
WTI-26986 0.62%
SGMS-22637 0.62%
EHTH-32726 0.60%
JONE-45141 0.57%
PIR-6000 0.55%
FUEL-45452 0.55%
EGO-24547 0.54%
PETX-45011 0.53%
CRR-14700 0.53%
ACOR-28077 0.52%
ONDK-48290 0.50%
NDRM-48090 0.50%
LNCO-43513 0.50%
AKG-35382 0.47%
AMPE-35897 0.45%
GLBL-49312 0.44%
FRTA-50398 0.39%
MNOCF-41823 0.39%
AMAG-659 0.34%
FTR-2069 0.32%
AUY-25714 0.31%
VHC-30464 0.30%
KND-23221 0.29%
ASNA-2105 0.28%
MMYT-40028 0.26%
NOG-35961 0.26%
VSAR-46582 0.26%
TDW-7364 0.25%
ANFI-43493 0.25%
CVEO-46939 0.24%
ZQK-6317 0.23%
LINE-27993 0.23%
CJES-48821 0.22%
ORIG-41919 0.21%
AKBA-46583 0.20%
W-47833 0.19%
SALE-45114 0.19%
PGH-32443 0.18%
PACD-42151 0.17%
KEM-4265 0.16%
KEG-29964 0.15%
BW-49208 0.15%
CCC-1331 0.15%
GLYC-46135 0.15%
GTE-31619 0.15%
CAI-33864 0.14%
YELP-42596 0.14%
WPRT-36763 0.13%
MFRM-42184 0.11%
WAC-18431 0.10%
EGL-43151 0.07%
RGNX-49409 0.05%
ZLTQ-42037 0.05%
UPL-22406 0.04%
ACI-88 0.04%
NWBO-23322 0.03%
SCTY-43721 0.02%
JCP-4118 0.02%
GPT-26520 0.01%
CXW-22102 0.01%
GNC-41182 0.01%
FCEL-24853 0.01%
HLF-26892 0.01%
FRO-22983 0.01%
RAD-6330 0.01%